Opalesque Industry Update - The Parker FX Index is reporting a -0.33% return for the month of June. Forty-one of
the forty-three programs in the Index reported June 2013 results, of which fifteen reported positive results and twenty-six
incurred losses. On a risk-adjusted basis, the Index was down -0.14% in June. The median return for the month was
-0.23%, while the performance for June ranged from a high of +11.02% to a low of -5.67%.|
In addition to the broad Parker FX Index, there are two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During June, the Systematic Index was down -0.32% and the Discretionary Index was down -0.34%. On a risk-adjusted basis, the Parker Systematic Index was down -0.12% and the Parker Discretionary Index was down -0.25%.
The top three performing constituent programs for the month of June on a reported basis, returned +11.02%, +3.77% and +1.85%, respectively. The top three performers on a risk-adjusted basis returned +3.73%, +1.57% and +1.10%, respectively.
The US dollar strengthened versus other G-10 currencies following the Federal Reserve’s comments that the central bank may gradually slow or end the quantitative easing programs. The rally gradually faded after disappointing US GDP data prompted investors to question the likelihood of the Federal Reserve changing course. Elsewhere, the yen’s decline versus the dollar reversed as the currency strengthened by 1.58%. Emerging market currencies were negatively impacted by the diminished growth targets and higher rates in the US.
The Parker FX Index is a performance-based benchmark that measures both the reported and the risk adjusted returns of global currency managers. It is the first index used to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill. The 330-month compounded annual return since inception (January, 1986 through June, 2013) is up +10.48% on a reported basis and up +2.94% on a risk adjusted basis.